Sensitivity analysis of credit derivatives
碩士 === 國立中央大學 === 統計研究所 === 102 === Credit derivatives have been hugely popular, as they provide a nice mechanism to transfer credit risk for investors. Sensitivity analysis for credit derivatives is essential for both speculation and hedging purposes. This paper considers the Greeks calculation for...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2014
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| Online Access: | http://ndltd.ncl.edu.tw/handle/m6h2gu |